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Investment Strategy

  • Identify opportunities through a bottom-up approach to active investment management and disciplined risk control.
  • Perform risk/reward analysis to evaluate credit risk, interest rate risk, prepayment risk, and security structure.
  • Invest in securities we believe offer attractive prospects for income and/or capital appreciation relative to the risk borne. May invest in non-benchmark sectors, specifically structured product, to generate additional yield with a strong focus on security selection.

Team

Mark Jackson, CFA

Portfolio Manager

Henry Song, CFA

Portfolio Manager

Douglas Gimple

Senior Portfolio Specialist

Returns

Quarterly

Period and Annualized Total Returns as of 6/30/2021
Since Inception
(7/31/2016)
3-YR1-YRYTD2Q21
Gross of Fees 4.29 4.54 9.02 2.56 0.90
Net of Fees 3.93 4.18 8.65 2.38 0.81
Bloomberg Barclays U.S. 1-3 Yr. Gov./Credit Index 1.90 2.96 0.44 0.00 0.04
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Past performance is not a guarantee of future results. To view a compliant presentation for all composites, click here.

Calendar Year Returns1

Year Gross of Fees Net of FeesBloomberg Barclays U.S. 1-3 Yr. Gov./Credit Index
2020 3.65 3.29 3.33
2019 5.34 4.97 4.03
2018 3.77 3.41 1.60
2017 4.90 4.53 0.84
2016 0.88 0.73 -0.38

Peer Group Quartile Rankings2 as of June 30, 2021

  Since
Inception
3-YR1-YR
Diamond Hill Percentile 60th45th42nd

2 This is presented as supplemental information. Source: eVestment Analytics. Ranking within eVestment US Securitized Fixed Income - Non-Traditional universe based on monthly returns gross of fees. Ranking data calculated on 7/18/21 (as of 6/30/21) and is subject to change as additional firms within the category submit data.

Statistics

Portfolio Characteristics as of June 30, 2021

Since Inception Bloomberg Barclays U.S. 1-3 Yr. Gov./Credit Index
Inception July 31, 2016
Status Open
Number of Holdings 388 1,632
Yield To Maturity 2.39% 0.37%
Yield to Worst 2.26% 0.34%
Effective Duration 1.24 1.94
Weighted Average Life 2.47 2.00
Convexity -0.07 0.01
Option-Adjusted Spread 192 7

This is presented as supplemental information.

Since Inception Risk Statistics3 as of June 30, 2021

Short Duration Securitized Bond Composite Bloomberg Barclays U.S. 1-3 Yr. Gov./Credit Index
Standard Deviation 4.74% 0.92%
Beta 0.03%
Sharpe Ratio 0.56 0.85
R-Squared 0.00%
Information Ratio 0.37

This is presented as supplemental information.

Portfolio

Portfolio Guidelines

The portfolio generally invests at least 80% of its assets in a diversified portfolio of investment grade, fixed income securities and may invest a significant portion or all of its assets in asset-backed, mortgage-related, and mortgage-backed securities. The portfolio may invest up to 15% of its assets in below-investment grade securities at the time of purchase and will typically maintain an average portfolio duration of one to two, with a maximum of three.

Vehicles Available

Sector Allocation4 as of June 30, 2021

Short Duration Securitized Bond Composite Bloomberg Barclays U.S. 1-3 Yr. Gov./Credit Index
Asset-Backed Securities 48.9 0.0
Non-Agency RMBS/CMBS 32.5 0.0
Agency RMBS/CMBS 1.8 0.0
Corporate Credit 1.3 22.8
Treasury 0.0 66.9
Non-Corporate Credit (includes covered) 0.0 6.8
Agency 0.0 3.5
Cash & Other 15.5 0.0

This is presented as supplemental information.

Duration Breakdown as of June 30, 2021

Short Duration Securitized Bond Composite Bloomberg Barclays U.S. 1-3 Yr. Gov./Credit Index
Less than one 53.8 1.6
1-3 30.5 98.4
3-5 14.2 0.0
5-7 1.4 0.0
7-10 0.0 0.0
10-20 0.0 0.0
20+ 0.0 0.0

This is presented as supplemental information.

Credit Quality5 as of June 30, 2021

Quality Rating % of Portfolio
AAA 23.8
AA 6.7
A 15.7
BBB 29.5
BB 7.6
B 4.8
CCC & Below 0.7
Not Rated 11.1

This is presented as supplemental information.

Key Rate Duration6 as of June 30, 2021

This is presented as supplemental information.

Documents

1 2016 returns represent the time period 7/31/16-12/31/16.

Relative to the Bloomberg Barclays U.S. 1-3 Yr. Gov./Credit Index.

Residential Mortgage-Backed securities/Commercial Mortgage-Backed Securities. Cash & Other may include cash, money market funds, and short duration fixed income funds.

Security quality ratings are derived from underlying portfolio securities by using the middle rating of Standard & Poor’s, Moody’s, and Fitch. If only two of Standard & Poor’s, Moody’s, and Fitch rates a security the higher of the two is selected. If only one of Standard & Poor’s, Moody’s, and Fitch rates a security the available rating is used. For securities that are not rated by Standard & Poor’s, Moody’s, or Fitch a rating from a secondary Nationally Recognized Statistical Rating Organization (“NRSRO”) may be used. Ratings by any agency represent an opinion only, not a recommendation to buy or sell. Securities that are not rated by any agencies are reflected as Not Rated “NR.”

Key Rate Duration (KRD) measures the contribution to duration to the entire portfolio from each part of the yield curve.

Index data source: Bloomberg Index Services Limited. See diamond-hill.com/disclosures for a full copy of the disclaimer.

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